She was brought up in a staunchly Protestant household at Greys Court at Rotherfield Greys in Oxfordshire and Abbey House at Reading in Berkshire. In 1556, three years after the Catholic Princess Mary Tudor had become queen, Sir Francis Knollys and his wife were compelled to seek refuge in Frankfurt, Germany to escape the relentless Marian persecutions against known Protestants. It is not known if Elizabeth accompanied them as her parents took only five of their children abroad, leaving the others behind in England.[6]

Knollys went to court as a Maid of Honour to Queen Elizabeth shortly after the latter ascended the English throne in 1558.[1] Her mother was Chief Lady of the Bedchamber and her sister Lettice was a Maid of the Privy Chamber. Another sister, Anne would later join the royal court. On 5 January 1566, Elizabeth Knollys was appointed a Gentlewoman of the Privy Chamber receiving an annual salary of £33 6s 8d.[5]

Elizabeth Knollys married Sir Thomas Leighton of Feckenham, Worcestershire, son of John Leighton of Wattlesborough in Shropshire and his wife, Joyce Sutton, in 1578. Leighton (who is sometimes called Layton)[1] was a diplomat and soldier, and shared with her father the same strong Puritan beliefs. Following her marriage, Knollys, now styled Lady Leighton, continued to serve Queen Elizabeth in the same capacity as a Gentlewoman of the Privy Chamber,[1] despite her sister Lettice's banishment from court. Her husband held the office of Governor of Jersey and Guernsey in the Channel Islands. Lady Leighton, however, did not spend much time on either island, much preferring life at court. Sir Walter Raleigh was her admirer, and had written her a poem.[7]

An unknown artist after George Gower painted her portrait in 1577. It shows her with curled hair; she is wearing a black hat with a feather, and an elaborate, ornamented gown, which are likely indications that she did not share her husband's dour Puritan sympathies. Her black hat was displayed at the National Maritime Museum in an exhibition in 2003 which was curated by noted Tudor historian, David Starkey. Knollys had given Queen Elizabeth a similar black hat as a gift in 1578/9.[8] In turn, Knollys is listed as having been the recipient of many New Year's presents from the Queen.[9]

The character of Lady Penelope Knollys in the children's mystery novels, the Lady Grace Mysteries, is probably based on Lady Elizabeth Knollys. In the books, she is a maid of honour to Queen Elizabeth I and friend to the central character Lady Grace Cavendish. Her fictional father is given as Sir John Knollys and, in 1570, she marries Thomas Penn (rather than Thomas Leighton) at St George's Chapel, Windsor Castle. Penelope was the name of the real Lady Elizabeth's niece, the daughter of her brother, Sir Thomas Knollys, the Governor of Ostend.